This project is a simple implementation of a binomial option contract pricing model. Currently there is no GUI, only CLI.
Pricing information about underlyings is currently using a free HTTP-based API provided by IEX Trading documentation. This is good enough for now, but it may be worth upgrading to a paid real-time market data stream.
Interest rate information is being pulled from another free HTTP-based API provided by Quandl (see the Treasury Yield Curve example here).
There are multiple variants of binomial pricing models, each differing in its definition of the 3 key input variables. The plan for this project is to implement both Cox-Russ-Rubinstein and Jarrow-Rudd variants.
Install docker for your system (instructions here) and make sure the runtime has started.
Start the application:
$> make runTo bring up the application container with a shell, do the following:
$> make console
docker-compose build
Building app
Step 1/11 : FROM python:3.6.5-stretch
---> 4231e6846106
...
...
...
Starting optionpricer_db_1 ... done
Waiting for database at db:5432 ... found
root@ae6009be9d64:/home/option_pricer#>This is a prompt inside the application container. It has access to the database as well as all the necessary packages for the application to run. The run.sh script will run the application and the test.sh script will run the test suite.
Log output goes to logs/application.log
- Consume realtime IEX market data via websocket client
- Recalculate a single contract in realtime
- Push contract updates to browser via websockets
- 24/7 up-time service
- CI Builds
- Hosting
- Deployment
- Limit time decay to just market hours and account for holidays
- Calculate implied volatility
- Calculate greeks
- Calculate all strikes in a given expiration
- Calculate all expirations for a given underlying
- Jarrow-Rudd implementation
- Pricing sheet per underlying
- Graph vol smile, term structure